Bitcoin Carry Trade Yields Hit 7.89%, Surpassing Treasury Rates

CME Bitcoin futures annualized carry reached 7.89%, exceeding 2-year Treasury yields of 4.19%. This premium enables market-neutral income strategies, supported by $865M in weekly spot ETF inflows led by BlackRock.

Woofun AI data shows that annualized carry on CME Bitcoin futures ranged from 5.69% to 7.89% on August 7, outperforming the 4.19% yield on two-year Treasury notes. The highest return of 7.89% came from the August contract, which settled at $65,175 against a CME New York spot benchmark of $64,880. September and December contracts offered 6.25% and 5.69% respectively, providing a market-neutral income stream independent of Bitcoin price direction.

US spot Bitcoin ETFs recorded $865 million in net inflows during the week ending August 7, with BlackRock's IBIT attracting approximately $694 million. While this structure allows institutional investors to capture premiums as futures converge to spot prices, financing costs, collateral requirements, and fees may reduce net returns for arbitrage desks.